This study aims to investigate the informational efficiency of the Johannesburg Stock Exchange with respect to monetary policy. Multivariate co-integration, Granger causality, vector error correction model, impulse response function analysis and variance decomposition analysis are employed to determine the semi-strong form efficiency in South African equity market. Monthly data of Johannesburg Stock Exchange index, money supply (M1 & M2), short term interest rate, inflation, rand/dollar exchange rate, London Stock Exchange index (FSTE100) and GDP from 2000-2009 are the variables of interest.Weak form efficiency is examined using unit root tests. The results of this study show evidence of weak form efficiency of the JSE using the Augmented-Dickey Fuller and Philip-Perron unit root tests. The results reject the hypothesis that the JSE is semi-strong and have important implications for government policy, regulatory authorities and participants in the South African stock market.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:ufh/vital:11456 |
| Date | January 2010 |
| Creators | Samkange, Edgar |
| Publisher | University of Fort Hare, Faculty of Management & Commerce |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis, Masters, M Com |
| Format | 104 leaves; 30 cm, pdf |
| Rights | University of Fort Hare |
Page generated in 0.0019 seconds